Regression modelEconometrics / time series

Bayesian Hausman Test

The Bayesian Hausman test is a Bayesian reformulation of Hausman's (1978) classical specification test, used to assess endogeneity or to choose between fixed effects and random effects panel models. Instead of a chi-squared test statistic, it uses posterior model probabilities or Bayes factors to compare competing specifications, fully incorporating prior uncertainty about model parameters.

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Sources

  1. Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251–1271. DOI: 10.2307/1913827
  2. Lancaster, T. (2004). An Introduction to Modern Bayesian Econometrics. Blackwell Publishing. ISBN: 978-1405117203

Related methods

ScholarGateBayesian Hausman Test (Bayesian Hausman Specification Test). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/bayesian-hausman-test